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973 B
Vendored
973 B
Vendored
usage: so [-t TARGET_RETURN] [-a] [-w WINDOW] [-h]
Provides the sortino ratio of the selected stock.
The sortino ratio is very similar to the sharpe ratio, but different in a crucial way. Sharpe ratio punishes the standard deviation of positive return. The sortino ratio only punishes standard deviation of negative returns. For more, read: http://www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf
optional arguments:
-t TARGET_RETURN, --target TARGET_RETURN
Target return (default: 0)
-a, --adjusted If one should adjust the sortino ratio inorder to make it comparable to the sharpe ratio
(default: False)
-w WINDOW, --window WINDOW
Rolling window length (default: 252)
-h, --help show this help message (default: False)
